%0 Journal Article %A Chatchai Pesee %D 2008 %J International Journal of Mathematical and Computational Sciences %B World Academy of Science, Engineering and Technology %I Open Science Index 20, 2008 %T Long-Range Dependence of Financial Time Series Data %U https://publications.waset.org/pdf/12428 %V 20 %X This paper examines long-range dependence or longmemory of financial time series on the exchange rate data by the fractional Brownian motion (fBm). The principle of spectral density function in Section 2 is used to find the range of Hurst parameter (H) of the fBm. If 0< H %P 518 - 522